Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0052
Annualized Std Dev 0.2533
Annualized Sharpe (Rf=0%) -0.0205

Row

Daily Return Statistics

Close
Observations 3233.0000
NAs 1.0000
Minimum -0.1463
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0063
Maximum 0.1266
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0160
Skewness -0.5207
Kurtosis 11.9595

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0117
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.6964
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0407
Modified VaR (95%) -0.0246
Modified ES (95%) -0.0476
From Trough To Depth Length To Trough Recovery
2008-05-19 2009-03-09 2015-01-26 -0.6964 1682 201 1481
2020-02-18 2020-03-23 NA -0.4378 276 25 NA
2016-08-01 2018-12-24 2019-10-15 -0.1822 808 605 203
2015-01-27 2016-02-11 2016-07-22 -0.1803 376 264 112
2019-10-24 2019-12-23 2020-02-14 -0.0524 78 42 36

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA 0.5 -1.5 -0.3 0.3 0.8 7 -11.1 3.1 -2.1
2009 -4.8 -0.9 -0.9 -1.9 3.9 0.5 1.3 -4 -3.7 -1.8 2.4 -0.2 -9.9
2010 1.7 1.1 1 -2.2 -1.6 0.4 0.3 3.6 1.2 0.4 1.8 0.2 8.1
2011 1 -2 0.3 0 -2.2 1.4 -0.9 -1 -2.2 -3.3 -1.3 0 -9.8
2012 1.2 0.8 1 1 -2.3 2.7 0 0.6 -0.2 0.8 0.4 1.2 7.3
2013 0.6 0.6 -0.6 -0.5 -1.5 -0.4 0.4 -0.6 1 0.2 -0.5 0.2 -1
2014 -0.3 0.5 0.4 0.5 0.5 0.4 -0.3 0.2 -0.5 1.6 0.1 -1.2 2
2015 -1.9 0.2 0.2 0.5 0.8 1 0.6 -2.3 0.4 -0.7 1.5 -0.9 -0.6
2016 0.4 3.1 -0.4 -0.7 0 0 -0.1 0.2 0 -1.6 -1.5 1.2 0.6
2017 -0.8 -0.2 0.5 0.6 0.6 -0.3 0.5 0.2 0.4 0.2 0.1 0 1.9
2018 -1.7 0 0.2 0.6 0.2 0.4 0.2 0.1 -0.5 0.6 0.3 0.2 0.7
2019 -0.4 -0.2 0.3 0.3 0.3 0.1 -0.8 0.3 -0.7 0.2 -0.4 0.5 -0.5
2020 -1.1 -2.4 -5.3 -3.4 2.1 1.8 -0.4 -0.1 1.9 -0.2 1.6 0.5 -5.2
2021 1.2 0.7 -1 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-05-13  50.4 SPY    140.  0.0001  -0.0111   0.0568   0.0407  -0.0668    0.198    0.481 GLD    85.4 -0.0184  -0.0143
2 2008-05-14  50.9 SPY    141.  0.0021   0.009    0.0565   0.0323  -0.0651    0.214    0.486 GLD    85.2 -0.0022  -0.0072
3 2008-05-15  51.4 SPY    143.  0.0125   0.0242   0.0415   0.0544  -0.0598    0.232    0.508 GLD    87    0.0211  -0.0028
4 2008-05-16  51.4 SPY    143.  0.0009   0.0271   0.0409   0.0556  -0.0571    0.221    0.500 GLD    89.1  0.0241   0.0192
5 2008-05-19  51.2 SPY    143.  0.0027   0.0184   0.033    0.0556  -0.0627    0.217    0.508 GLD    89.4  0.0033   0.0276
6 2008-05-20  50.8 SPY    142. -0.0081   0.01     0.0241   0.0439  -0.0698    0.194    0.532 GLD    90.9  0.0169   0.0645
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart